Most significant publications
- Nicole Bäuerle, Marcin Pitera, Łukasz Stettner, Blackwell optimality and policy stability for long-run risk-sensitive stochastic control, SIAM Journal on Control and Optimization 62 (2024), 3172-3194
- Marcin Pitera, Łukasz Stettner, Existence of bounded solutions to multiplicative Poisson equations under mixing property, ESAIM - Control, Optimisation and Calculus of Variations 30 (2024), 49
- Marcin Pitera, Łukasz Stettner, Discrete-time risk sensitive portfolio optimization with proportional transaction costs, Mathematical Finance 33 (4) (2023), 1287-1313
- Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera, A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time, Mathematics of Operations Research 43, Issue 1 (2018), 204-221
Recent publications
- Martin Aichele, Igor Cialenco, Damian Jelito, Marcin Pitera, Coherent Estimation of Risk Measures, Journal of Financial Econometrics 24(3) (2026), 32 strony
- Marcin Pitera, Thorsten Schmidt, Łukasz Stettner, A novel scaling approach for unbiased adjustment of risk estimators, Journal of Empirical Finance 88 (2026), 101741
- Damian Jelito, Kewin Pączek, Marcin Pitera, Agnieszka Wyłomańska, Statistical Applications of the 20/60/20 Rule in Risk Management and Portfolio Optimization, Applied Mathematical Finance 32 (5) (2026), 289–318
- Marcin Pitera, Łukasz Stettner, Blackwell optimality in risk-sensitive stochastic control, International Conference on Control, Decision and Information Technologies [CoDIT] 1 (2025), 320-324
- Damian Jelito, Marcin Pitera, Kewin Pączek, Agnieszka Wyłomańska, Conditional correlation estimation and serial dependence identification, Journal of Computational and Applied Mathematics 468 (2025), 116633
Interests
1) Stochastic control in discrete time, Markov decision processes, long-run optimal control
2) Risk quantification and estimation, dynamic risk measures, time-consistency, risk sensitive control.
3) Portfolio optimisation, utility allocation.
4) Conditional dependance measures and dopula functions.
Marcin Pitera
academic degree/title Doctor of Science positionresearch and faculty staff member group, assistant professor
unit
- Department of Financial Mathematics
- Institute of Mathematics
marcin.pitera@uj.edu.pl
www